期权组合

多元混合正态分布情形下的外汇期权组合非线性VaR模型

Nonlinear VaR model of FX options portfolio under multivariate mixture of normal distributions

分布式三元矢量天线二维波达方向及线极化状态估计多元混合正态分布情形下的外汇期权组合非线性VaR模型

A Distributed Vector Sensor with Three Dipoles for Two Dimensional Direction of Arrival and Linearly Polarized State Estimation Nonlinear VaR model of FX options portfolio under multivariate mixture of normal distributions

而传统的针对期权组合风险测度的非线性VaR模型都是基于风险因子正态分布假设，且存在维数增加难于计算的问题。

However , the traditional non-linear VaR models , which measure market risk for portfolio of options , are generally based on the assumption that distribution of risk factors is normal .

研究结果表明，这类产品在定价时可以看作由一个具有保底收益的投资基金与一个基于死亡赔付的欧式熊市价差期权组合（EBSOP）构成，该期权组合的价值通常不容忽视；

The results show that such kind of contract is composed with a guaranteed investment fund and a European bear spreads option package ( EBSOP ) whose value can not be ignored .

关于利用证券-期权组合降低投资风险的思考

The Thinking about how to Use the Security - Option Portfolio to Decrease the Risk of Invest

期权组合与概率

Option combination and probability

利用概率方法，研究了实物期权组合中放弃期权和增长期权之间的影响关系，并给出了具体的解析计算公式。

We study on the interactions between abandon options and growth options by using the probabilistic methods , and obtain the analytic formula for the measurement of interactions .

《通知》主要内容包括：一是推出外汇看跌和外汇看涨两类风险逆转期权组合业务；

The main contents of the Circular include : firstly , two categories of risk reversal portfolio business , including foreign exchange put option and foreign exchange call option are introduced ;

实证研究表明，用加入了高阶统计量的Cornish-Fisher方法计算出的外汇期权投资组合回报变化的VaR值和运用四阶矩的Cornish-Fisher方法得到的VaR值几乎没有差别。

Empirical studies have shown that with the accession to the higher-order statistics of the Cornish-Fisher method to calculate the return on foreign currency options portfolio changes in value and the use of fourth-order moment of the Cornish-Fisher method is almost no difference between the value obtained .

卖出期货合同和买进看涨期权的组合，叫做组合买入看跌期权。

A combination of a short futures contract and a long call , called a synthetic long put .

期货与期权的组合在套期保值策略中的应用对于卖出期权是指期货价格减去期权金再加上预期的基点。

Hedging Strategy Involving Future and Option Simultaneously ; For puts : futures price - premium + expected basis .

在期货市场上，投资者可以通过动态复制期货期权的组合保险技术，在规避大的损失前提下，实现套期保值目标。

The empirical result shows that investors can realize risk management through a dynamic duplication of a future option .

一种一个期货合同和一个期权的组合，其中一个看涨一个看跌。

A combination of a futures contract and an option , in which one is bullish and one is bearish .

虽然模型在形式和结构上复杂繁琐，但最优解的形式非常简洁，是两类不同期权的组合。

Although the models are mathematically complicated and sophisticated , the optimal solution turns out to be surprisingly simple : the payoff of a portfolio of two binary options .

这样，通过市场风险分担的期权交易组合，投入机会（农户拥有）与社会资本实现了交换，农户有条件采用更广泛的途径配置生产资源要素，进行生态农业生产。

Therefore , by the combination of option trading with market risk sharing ," investment opportunities " realizes the exchange with " social capital " . Farmers can allocate main elements of producing resources in broader ways under such condition and carry out ecological agriculture production .

许多衍生证券可表现为若干期权合约的组合形式；

Many derivative securities appear in the form of option .

有交易成本的期权定价模拟组合证券法

Option Pricing and Portfolio Replication with Transaction Cost

而在用期权描述投资组合时分别考虑了欧式期权和亚式期权两种情形。

And European & Asian options are both conserved in the hedge of portfolio .

期权在资产组合管理绩效报酬设计中的应用

Application Analysis of Option on Portfolio Management Performance Reward Evolution of Property in Public Domain and Its Affection

本文研究两项目组合投资的实物期权评价及其组合选择策略。

In this paper , real option evaluation and strategies selection on the combination of two projects are discussed .

由两个有相同行使价的看跌和看涨期权形成的组合，同时二者都看跌，叫做组合卖出期货。

Also , a combination of a put and a call with the same strike price , in which both are bearish , called synthetic short futures .

通过数值分析对模型进行验证，比较固定合同、期权合同和组合合同对逆向供应链采购决策的影响。

Then the model is verified by numerical analysis . The difference among the fixed contract , the option contract , and the combined contract has also been analyzed through numerical study .

根据选定的市场均衡模型，把租赁看成一个含期权的证券组合，考虑租赁合同签订到执行的间隔&合同柔性，并将其引入到已有的基本模型中，得到含合同柔性因素的定价公式。

From the adopted primary model dealing with lease as portfolio embedded an option , a pricing model involved contract flexibility has been deduced , which here means interval between contracts ' signing and exercise .

基于多资产期权的土地资源组合开发优化研究

Research on Optimized Land Resources Combination and Development Based on Multi-asset Options

研究零售商在由实时市场和供给受限的期权市场构成的组合市场中最优采购策略的问题。

The trading model consisting of day-ahead market and real-time market exists in most of power markets .

根据风险-收益关系以及投资的期权价值考虑不同组合下企业的投资决策。

Based on risk-return relationship and the option value of investment opportunities , we consider investment decision-making under different combinations .

同时指出着力推出期货、期权、互换及其组合等新型金融产品以及构建与此相适应的市场环境应成为当前完善我国订单农业重点工作之一。

At the end , the paper suggests that new financial products such as futures , options , SWAP , and their combinations , while building up a suitable market circumstances should be one of the emphases for perfecting the contract agriculture in China .

项目投资中放弃期权与看涨期权的组合研究

Study on Combination of Abandon Option and Growth Option in Project Investment

期权交易对供电公司购电组合的影响同时，买进期货合同和卖出一个看涨期权的组合，叫做组合卖出看跌期权。

Effects of Options Trade on Purchasing Portfolio for Load Serving Entities ; Also , a combination of a long futures contract and a short call , called a synthetic short put .

具体来说，本文研究内容归纳如下：首先建立了风险中性下的供应链期权契约模型和基于期权的组合契约模型，将两种模型进行了比较分析。

In this regard , the study summarized as follows : A risk neutral supply chain option contract model and a combination contract model based on options are first established and then compared .